Finance

XLB Move Probability $51.31 +0.10 (+0.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
20.7%
Stock touched +5.0% ($53.88) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
13.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.57x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.4%
$49.06 — $53.56

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-14.4% to -12.8%: 1 occurrences (0.2%) -13.6% -12.8% to -11.1%: 2 occurrences (0.4%) -11.1% to -9.4%: 5 occurrences (1.0%) -9.4% to -7.7%: 6 occurrences (1.2%) -8.6% -7.7% to -6.1%: 20 occurrences (3.9%) -6.1% to -4.4%: 25 occurrences (4.9%) -4.4% to -2.7%: 40 occurrences (7.9%) -3.6% -2.7% to -1.1%: 74 occurrences (14.6%) -1.1% to +0.6%: 98 occurrences (19.3%) +0.6% to +2.3%: 80 occurrences (15.7%) 1.5% +2.3% to +4.0%: 62 occurrences (12.2%) +4.0% to +5.6%: 43 occurrences (8.5%) +5.6% to +7.3%: 36 occurrences (7.1%) 6.5% +7.3% to +9.0%: 12 occurrences (2.4%) +9.0% to +10.7%: 2 occurrences (0.4%) +10.7% to +12.3%: 2 occurrences (0.4%) 11.5%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 20.7% 13.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.5% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (6.14).
Standard Normal (Black-Scholes / GBM) 26.5% 13.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.1% 16.2% Filters for historical windows that started with volatility similar to current 20-day HV (303 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.6%
  • Recent 20-Day HV: 12.9%
  • Parkinson Intraday Volatility: 14.8%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +5.7%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (14d): +12.3%
  • Max Historical Loss (14d): -14.4%